Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3071
Annualized Std Dev 0.5989
Annualized Sharpe (Rf=0%) -0.5129

Row

Daily Return Statistics

Close
Observations 3556.0000
NAs 1.0000
Minimum -0.2979
Quartile 1 -0.0142
Median -0.0015
Arithmetic Mean -0.0007
Geometric Mean -0.0015
Quartile 3 0.0121
Maximum 0.2932
SE Mean 0.0006
LCL Mean (0.95) -0.0020
UCL Mean (0.95) 0.0005
Variance 0.0014
Stdev 0.0377
Skewness -0.1780
Kurtosis 12.6992

Downside Risk

Close
Semi Deviation 0.0268
Gain Deviation 0.0305
Loss Deviation 0.0300
Downside Deviation (MAR=210%) 0.0311
Downside Deviation (Rf=0%) 0.0271
Downside Deviation (0%) 0.0271
Maximum Drawdown 0.9986
Historical VaR (95%) -0.0484
Historical ES (95%) -0.0933
Modified VaR (95%) -0.0550
Modified ES (95%) -0.0683
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-12 NA -0.9986 3102 3096 NA
2008-07-16 2008-09-26 2008-11-19 -0.5276 90 52 38
2008-03-11 2008-05-02 2008-06-23 -0.3380 73 38 35
2008-01-22 2008-02-01 2008-03-06 -0.2873 32 9 23
2007-11-27 2007-12-10 2008-01-04 -0.2248 27 10 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.3 0.2 0 -0.3 1.6 -0.7 -3 -4 8.1 -5.9 -1.6 -5.9
2008 -5 7.7 -14.5 -7.7 1.5 -1.7 -0.7 -0.1 -4.4 -9.4 29.3 -7.3 -17
2009 4.8 10.7 -4.1 2.5 -3.1 0.3 -1.4 9.4 7.6 8.3 -0.7 1 39.5
2010 -2.7 -0.6 -1.6 4.7 4.3 1.2 0.1 -7.5 -1.5 -0.1 -3.9 -0.3 -8.2
2011 -3.8 4.3 -1.5 0.4 6.5 -3.8 0.9 4.2 6.6 8.7 1.2 1.3 26.9
2012 -3.3 -2.3 -0.8 -2 7.1 -5 1.1 -1.1 -0.8 -2.5 0.4 -2.7 -11.8
2013 -2.6 -0.6 0.8 1.9 3 -1 -3.1 1.2 -1.8 -0.6 0.5 -0.7 -3.1
2014 2.3 -1.2 -1 -0.5 -0.4 -1.4 1.4 -0.8 2.1 -2.3 1.4 2.3 1.7
2015 2.7 0.7 0.5 -1.4 -0.4 -2.7 0.8 6.3 -0.5 2.5 -2 1.7 8.2
2016 0.6 -6.7 -1.5 1.3 -0.3 0.5 0.5 0.8 -1.8 1.8 -1.4 -0.7 -7
2017 0.4 -4 0.9 -0.9 -2.1 -0.1 -1.5 -0.9 -0.6 -0.3 -0.4 0.7 -8.6
2018 -1.1 4.5 -2.4 0.3 -1.7 0.1 -0.3 0.1 0.2 -1.1 -1.6 -1.2 -4.5
2019 -1.2 -0.7 -3.6 1.4 1.8 -1.6 2.9 -0.5 3.5 -2.1 0.5 -0.7 -0.5
2020 3.9 4.6 11.8 6.2 -2.4 0.2 0.4 -0.4 -1.9 0.3 -2.7 -2.3 18
2021 -3.3 -4.7 3.3 NA NA NA NA NA NA NA NA NA -4.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 2195. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-05 2183. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
3 2007-02-06 2156. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
4 2007-02-07 2136. SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08 2160. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09 2203. SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart